Dear forum,
since this is my first post here and since I am new to Stata, I hope my post fulfills the forum requirements. I want to calculate the pairwise correlations across the (abnormal) returns of 80 firms,
for an event study test statistic and I need the average over all these pairwise correlations. I have read that I might achieve what I intend by using a loop, however I am unable to program
such a loop unfortunately. In the last clumn i have stored a value I also need to construct the test statistic, but for the correlations that value is irrelevant.
Below you can find an excerpt of my data. Any help would be highly appreciated!!
Jonas
input long Date float(resid_MarketModel_1 resid_MarketModel_2 resid_MarketModel_3 BMP_t)
22715 .028857823 -.012030476 .011276288 -17.066809
22718 .001680778 .015519869 .04662051 -17.066809
22719 -.013552702 -.0013050697 -.010423742 -17.066809
22720 .011290512 .0247944 .022345623 -17.066809
22721 -.017967667 .0013580762 -.02512785 -17.066809
22722 -.009187383 -.011011245 -.0087083 -17.066809
22725 .003578504 -.0034927686 -.00557095 -17.066809
22726 -.005407726 .010930496 .006511768 -17.066809
22727 -.013838122 -.01001027 -.015077838 -17.066809
22728 -.00786587 -.006517837 -.007176251 -17.066809
22729 .0239404 .003767889 .027022535 -17.066809
22732 -.011907137 -.014157334 -.02665999 -17.066809
22733 .005552202 -.008957997 -.009840348 -17.066809
22734 -.023531053 .00018480085 -.02001087 -17.066809
22735 .0040255897 -.017226135 -.009717827 -17.066809
22736 -.014861178 -.010953325 -.007508885 -17.066809
22739 -.012034866 -.003144226 -.01649329 -17.066809
22740 -.0007985968 -.001498356 .007198072 -17.066809
22741 -.0037047905 -.006126278 -.0025296016 -17.066809
Related Posts with Calculate average of the (pairwise) sample cross-correlations
Counting distinct values across loopsI have a simple question that I am sure has been answered, so I apologize in advance. My search thro…
Calculating change using last nonmissing valueHello I am trying to calculate the change in dividend for many firms over time, based on daily stock…
Numbering the omitted dataHello, this is Max Kim. Now I am running a panel data with year and age. However, the data for age o…
Lopping and Saving Results in a MatrixHi everyone, I'm trying to a run a simple regression with five variables of interest. The primary i…
one of row is non missing then replace first row of each IDDear Listers, Each ID has long rows for the ID and an indicator - complete_surgical. I want to chan…
Subscribe to:
Post Comments (Atom)
0 Response to Calculate average of the (pairwise) sample cross-correlations
Post a Comment